Summary
This chapter describes an evolutionary approach to portfolio optimization. It rejects some assumptions from classic models, introduces alternative risk measures and proposes three evolutionary algorithms to solve the optimization problem. In order to validate the approach proposed, results of a number of experiments using data from the Paris Stock Exchange are presented.
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Lipinski, P. (2008). Evolutionary Strategies for Building Risk-Optimal Portfolios. In: Brabazon, A., O’Neill, M. (eds) Natural Computing in Computational Finance. Studies in Computational Intelligence, vol 100. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-77477-8_4
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DOI: https://doi.org/10.1007/978-3-540-77477-8_4
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-77476-1
Online ISBN: 978-3-540-77477-8
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